M2 & Sharpe v.s. Jensen & Treynor

[PhillyBanker]

Just want clarity here: if the M2 is greater than the mkt return, than the portfolio has generated positve alpha. If sharpe ratio is greater than the slope of the CML, than the portfolio has generated positive alpha.
If Jenson’s alpha is positive, the portfolio would plot above the SML. Now is the Treynor ratio viewed to the slope of the SML? i.e. is it the same measure as sharpe on systematic risk only?
And is the below statements correct?
M2 counterpart is Jenson Alpha - direct measures
Sharpe counterpart is Treynor - comparative.
Thanks

 

[mwvt9]

PhillyBanker Wrote:
——————————————————-
> Just want clarity here: if the M2 is greater than
> the mkt return, than the portfolio has generated
> positve alpha. If sharpe ratio is greater than the
> slope of the CML, than the portfolio has generated
> positive alpha.
Looks right to me.
>
> If Jenson’s alpha is positive, the portfolio would
> plot above the SML. Now is the Treynor ratio
> viewed to the slope of the SML? i.e. is it the
> same measure as sharpe on systematic risk only?
Looks right to me too.
>
> And is the below statements correct?
I don’t think these are correct.
Alpha is the only direct measure. Even M2 has to be compared to the market return.
M2 and Sharpe go together (always give the same conclusion as they are both based on total risk)
Jensen and Treynor go together (always give same conclussion as they are both based on systematic risk).
>
> M2 counterpart is Jenson Alpha - direct measures
> Sharpe counterpart is Treynor - comparative.
>
> Thanks

 

[PhillyBanker]

Got it, thanks MW.